Decision Studio · certification case study
From Exam P to ERM on one real Schedule P dataset
Every technique on the SOA and CAS syllabi — frequency and severity fits, discounting and duration, chain-ladder, Bornhuetter–Ferguson and Mack, rate indications and credibility, VaR/TVaR and capital allocation — applied to real NAIC Schedule P workers' compensation data, checked against what actually happened, and closed out with two decisions run through the Actuarium Decision Engine.
Overview & data
Real NAIC Schedule P data (CAS Loss Reserve Database, Meyers & Shi): State Farm Mut Grp — Workers' Compensation, accident years 1988–1997, net of reinsurance, in $000s. The upper (evaluated) triangle is used for every estimation method below; the full realized square supplies hindsight actual ultimates for retrospective testing.
| AY \ Age | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1988 | 91,892 | 120,466 | 129,785 | 134,401 | 134,051 | 134,264 | 134,169 | 133,158 | 133,800 | 133,513 |
| 1989 | 117,540 | 160,490 | 163,802 | 162,824 | 164,650 | 163,326 | 161,246 | 161,836 | 161,673 | — |
| 1990 | 155,671 | 210,607 | 208,274 | 211,660 | 209,823 | 208,629 | 208,662 | 210,204 | — | — |
| 1991 | 189,021 | 251,182 | 253,292 | 247,771 | 244,882 | 245,666 | 244,669 | — | — | — |
| 1992 | 229,435 | 289,785 | 268,235 | 255,528 | 252,878 | 253,878 | — | — | — | — |
| 1993 | 251,804 | 259,975 | 245,594 | 251,196 | 251,129 | — | — | — | — | — |
| 1994 | 212,555 | 212,160 | 206,811 | 202,911 | — | — | — | — | — | — |
| 1995 | 178,437 | 181,175 | 174,496 | — | — | — | — | — | — | — |
| 1996 | 151,415 | 143,042 | — | — | — | — | — | — | — | — |
| 1997 | 125,429 | — | — | — | — | — | — | — | — | — |
| AY \ Age | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1988 | 22,190 | 60,834 | 85,104 | 100,151 | 108,812 | 114,967 | 118,790 | 121,558 | 123,492 | 125,049 |
| 1989 | 26,542 | 77,798 | 106,407 | 122,422 | 133,359 | 138,599 | 143,029 | 145,712 | 147,358 | — |
| 1990 | 32,977 | 100,494 | 134,886 | 157,758 | 168,991 | 178,065 | 182,787 | 187,760 | — | — |
| 1991 | 38,604 | 114,428 | 157,103 | 181,322 | 197,411 | 208,804 | 213,396 | — | — | — |
| 1992 | 42,466 | 125,820 | 164,776 | 189,045 | 204,377 | 213,904 | — | — | — | — |
| 1993 | 46,447 | 116,764 | 154,897 | 179,419 | 193,676 | — | — | — | — | — |
| 1994 | 41,368 | 100,344 | 132,021 | 151,081 | — | — | — | — | — | — |
| 1995 | 35,719 | 83,216 | 111,268 | — | — | — | — | — | — | — |
| 1996 | 28,746 | 66,033 | — | — | — | — | — | — | — | — |
| 1997 | 25,265 | — | — | — | — | — | — | — | — | — |
| AY | Earned premium | Latest incurred / EP |
|---|---|---|
| 1988 | 177,104 | 75.4% |
| 1989 | 201,118 | 80.4% |
| 1990 | 246,010 | 85.4% |
| 1991 | 286,019 | 85.5% |
| 1992 | 340,183 | 74.6% |
| 1993 | 418,755 | 60.0% |
| 1994 | 366,031 | 55.4% |
| 1995 | 338,186 | 51.6% |
| 1996 | 286,631 | 49.9% |
| 1997 | 245,378 | 51.1% |